Time-domain estimation of time-varying linear systems

Abstract

In this work, we deal with the problem of estimation of the time-varying coefficients of a linear system, where the input and output are locally stationary processes. In our approach, we propose two types of estimators, kernel and wavelet estimators. They are time-domain estimators in the sense that they involve Yule–Walker type equations and ordinary least squares method. We provide some simulation results and briefly discuss the (asymptotic) statistical properties of the estimators.